{
 "cells": [
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 第六次 回归 预测股票市场收益率"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 预测指标\n",
    "\n",
    "- 通货膨胀 CPI\n",
    "- 股票市场风险 Variance\n",
    "- 股票换手率 Turnover\n",
    "- 股票市盈率，股息率，市帐比，市净率，市销率 Price Earnings Ratio"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "import numpy as np #数据处理最重要的模块\n",
    "\n",
    "import pandas as pd#数据处理最重要的模块\n",
    "\n",
    "import scipy.stats as stats #统计模块\n",
    "\n",
    "import scipy\n",
    "\n",
    "# import pymysql# 导入数据库模块\n",
    "\n",
    "\n",
    "from datetime import datetime #时间模块\n",
    "\n",
    "import statsmodels.formula.api as smf # OLS regression\n",
    "\n",
    "#import pyreadr # read RDS file\n",
    "\n",
    "from matplotlib import style\n",
    "\n",
    "import matplotlib.pyplot as plt #画图模块\n",
    "import matplotlib.dates as mdates\n",
    "\n",
    "from matplotlib.font_manager import FontProperties #作图中文\n",
    "from pylab import mpl\n",
    "\n",
    "#mpl.rcParam['font.sans-serif']= ['imHei' ]\n",
    "\n",
    "#plt.rcParams['font.family'] = 'Times New Roman'\n",
    "#输出矢量图，渲染矢量图\n",
    "%matplotlib inline\n",
    "%config InlineBackend.figure_format='svg'\n",
    "from IPython.core.interactiveshell import InteractiveShell #jupter运行输出的模块\n",
    "#显示，每一个运行结果\n",
    "InteractiveShell.ast_node_interactivity='all'\n",
    "#设置行不限制数量\n",
    "#pd.set_option('display.max_rows',None)\n",
    "#设置不限制数量\n",
    "pd.set_option('display.max_columns',None)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
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       "        vertical-align: middle;\n",
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       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Preclose</th>\n",
       "      <th>Open</th>\n",
       "      <th>Highest</th>\n",
       "      <th>Lowest</th>\n",
       "      <th>Close</th>\n",
       "      <th>Volume</th>\n",
       "      <th>Money</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Day</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1990-12-19</th>\n",
       "      <td></td>\n",
       "      <td>96.050</td>\n",
       "      <td>99.980</td>\n",
       "      <td>95.790</td>\n",
       "      <td>99.980</td>\n",
       "      <td>126000.00</td>\n",
       "      <td>4.940000e+05</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1990-12-20</th>\n",
       "      <td>99.98</td>\n",
       "      <td>104.300</td>\n",
       "      <td>104.390</td>\n",
       "      <td>99.980</td>\n",
       "      <td>104.390</td>\n",
       "      <td>19700.00</td>\n",
       "      <td>8.400000e+04</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1990-12-21</th>\n",
       "      <td>104.39</td>\n",
       "      <td>109.070</td>\n",
       "      <td>109.130</td>\n",
       "      <td>103.730</td>\n",
       "      <td>109.130</td>\n",
       "      <td>2800.00</td>\n",
       "      <td>1.600000e+04</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1990-12-24</th>\n",
       "      <td>109.13</td>\n",
       "      <td>113.570</td>\n",
       "      <td>114.550</td>\n",
       "      <td>109.130</td>\n",
       "      <td>114.550</td>\n",
       "      <td>3200.00</td>\n",
       "      <td>3.100000e+04</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1990-12-25</th>\n",
       "      <td>114.55</td>\n",
       "      <td>120.090</td>\n",
       "      <td>120.250</td>\n",
       "      <td>114.550</td>\n",
       "      <td>120.250</td>\n",
       "      <td>1500.00</td>\n",
       "      <td>6.000000e+03</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-24</th>\n",
       "      <td>2748.918</td>\n",
       "      <td>2770.754</td>\n",
       "      <td>2863.152</td>\n",
       "      <td>2761.372</td>\n",
       "      <td>2863.126</td>\n",
       "      <td>4776195.45</td>\n",
       "      <td>4.427953e+07</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-25</th>\n",
       "      <td>2863.126</td>\n",
       "      <td>2901.419</td>\n",
       "      <td>2952.451</td>\n",
       "      <td>2889.048</td>\n",
       "      <td>2896.306</td>\n",
       "      <td>5682598.16</td>\n",
       "      <td>5.166981e+07</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-26</th>\n",
       "      <td>2896.306</td>\n",
       "      <td>2893.745</td>\n",
       "      <td>3000.953</td>\n",
       "      <td>2889.014</td>\n",
       "      <td>3000.953</td>\n",
       "      <td>5763192.61</td>\n",
       "      <td>5.246691e+07</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-27</th>\n",
       "      <td>3000.953</td>\n",
       "      <td>3049.103</td>\n",
       "      <td>3087.529</td>\n",
       "      <td>3017.445</td>\n",
       "      <td>3087.529</td>\n",
       "      <td>4922871.63</td>\n",
       "      <td>4.806126e+07</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-30</th>\n",
       "      <td>3087.529</td>\n",
       "      <td>3194.722</td>\n",
       "      <td>3358.588</td>\n",
       "      <td>3153.697</td>\n",
       "      <td>3336.497</td>\n",
       "      <td>11023379.17</td>\n",
       "      <td>1.167773e+08</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>8251 rows × 7 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "            Preclose      Open   Highest    Lowest     Close       Volume  \\\n",
       "Day                                                                         \n",
       "1990-12-19              96.050    99.980    95.790    99.980    126000.00   \n",
       "1990-12-20     99.98   104.300   104.390    99.980   104.390     19700.00   \n",
       "1990-12-21    104.39   109.070   109.130   103.730   109.130      2800.00   \n",
       "1990-12-24    109.13   113.570   114.550   109.130   114.550      3200.00   \n",
       "1990-12-25    114.55   120.090   120.250   114.550   120.250      1500.00   \n",
       "...              ...       ...       ...       ...       ...          ...   \n",
       "2024-09-24  2748.918  2770.754  2863.152  2761.372  2863.126   4776195.45   \n",
       "2024-09-25  2863.126  2901.419  2952.451  2889.048  2896.306   5682598.16   \n",
       "2024-09-26  2896.306  2893.745  3000.953  2889.014  3000.953   5763192.61   \n",
       "2024-09-27  3000.953  3049.103  3087.529  3017.445  3087.529   4922871.63   \n",
       "2024-09-30  3087.529  3194.722  3358.588  3153.697  3336.497  11023379.17   \n",
       "\n",
       "                   Money  \n",
       "Day                       \n",
       "1990-12-19  4.940000e+05  \n",
       "1990-12-20  8.400000e+04  \n",
       "1990-12-21  1.600000e+04  \n",
       "1990-12-24  3.100000e+04  \n",
       "1990-12-25  6.000000e+03  \n",
       "...                  ...  \n",
       "2024-09-24  4.427953e+07  \n",
       "2024-09-25  5.166981e+07  \n",
       "2024-09-26  5.246691e+07  \n",
       "2024-09-27  4.806126e+07  \n",
       "2024-09-30  1.167773e+08  \n",
       "\n",
       "[8251 rows x 7 columns]"
      ]
     },
     "execution_count": 5,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "data=pd.read_csv('000001.csv') #'datasets/000001.csv'运行不了 不到为什么\n",
    "data['Day']=pd.to_datetime(data['Day'],format='%Y/%m/%d')\n",
    "data.set_index('Day',inplace=True)\n",
    "data.sort_values(by=['Day'],axis=0,ascending=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Preclose</th>\n",
       "      <th>Open</th>\n",
       "      <th>Highest</th>\n",
       "      <th>Lowest</th>\n",
       "      <th>Close</th>\n",
       "      <th>Volume</th>\n",
       "      <th>Money</th>\n",
       "      <th>Raw_return</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Day</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1995-01-03</th>\n",
       "      <td>647.870</td>\n",
       "      <td>637.720</td>\n",
       "      <td>647.710</td>\n",
       "      <td>630.530</td>\n",
       "      <td>639.880</td>\n",
       "      <td>23451800.00</td>\n",
       "      <td>1.806930e+08</td>\n",
       "      <td>-0.012333</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1995-01-04</th>\n",
       "      <td>639.880</td>\n",
       "      <td>641.900</td>\n",
       "      <td>655.510</td>\n",
       "      <td>638.860</td>\n",
       "      <td>653.810</td>\n",
       "      <td>42222000.00</td>\n",
       "      <td>3.069230e+08</td>\n",
       "      <td>0.021770</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1995-01-05</th>\n",
       "      <td>653.810</td>\n",
       "      <td>655.380</td>\n",
       "      <td>657.520</td>\n",
       "      <td>645.810</td>\n",
       "      <td>646.890</td>\n",
       "      <td>43012300.00</td>\n",
       "      <td>3.015330e+08</td>\n",
       "      <td>-0.010584</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1995-01-06</th>\n",
       "      <td>646.890</td>\n",
       "      <td>642.750</td>\n",
       "      <td>643.890</td>\n",
       "      <td>636.330</td>\n",
       "      <td>640.760</td>\n",
       "      <td>48748200.00</td>\n",
       "      <td>3.537580e+08</td>\n",
       "      <td>-0.009476</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1995-01-09</th>\n",
       "      <td>640.760</td>\n",
       "      <td>637.520</td>\n",
       "      <td>637.550</td>\n",
       "      <td>625.040</td>\n",
       "      <td>626.000</td>\n",
       "      <td>50985100.00</td>\n",
       "      <td>3.985190e+08</td>\n",
       "      <td>-0.023035</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-24</th>\n",
       "      <td>2748.918</td>\n",
       "      <td>2770.754</td>\n",
       "      <td>2863.152</td>\n",
       "      <td>2761.372</td>\n",
       "      <td>2863.126</td>\n",
       "      <td>4776195.45</td>\n",
       "      <td>4.427953e+07</td>\n",
       "      <td>0.041547</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-25</th>\n",
       "      <td>2863.126</td>\n",
       "      <td>2901.419</td>\n",
       "      <td>2952.451</td>\n",
       "      <td>2889.048</td>\n",
       "      <td>2896.306</td>\n",
       "      <td>5682598.16</td>\n",
       "      <td>5.166981e+07</td>\n",
       "      <td>0.011589</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-26</th>\n",
       "      <td>2896.306</td>\n",
       "      <td>2893.745</td>\n",
       "      <td>3000.953</td>\n",
       "      <td>2889.014</td>\n",
       "      <td>3000.953</td>\n",
       "      <td>5763192.61</td>\n",
       "      <td>5.246691e+07</td>\n",
       "      <td>0.036131</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-27</th>\n",
       "      <td>3000.953</td>\n",
       "      <td>3049.103</td>\n",
       "      <td>3087.529</td>\n",
       "      <td>3017.445</td>\n",
       "      <td>3087.529</td>\n",
       "      <td>4922871.63</td>\n",
       "      <td>4.806126e+07</td>\n",
       "      <td>0.028850</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-30</th>\n",
       "      <td>3087.529</td>\n",
       "      <td>3194.722</td>\n",
       "      <td>3358.588</td>\n",
       "      <td>3153.697</td>\n",
       "      <td>3336.497</td>\n",
       "      <td>11023379.17</td>\n",
       "      <td>1.167773e+08</td>\n",
       "      <td>0.080637</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>7223 rows × 8 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "            Preclose      Open   Highest    Lowest     Close       Volume  \\\n",
       "Day                                                                         \n",
       "1995-01-03   647.870   637.720   647.710   630.530   639.880  23451800.00   \n",
       "1995-01-04   639.880   641.900   655.510   638.860   653.810  42222000.00   \n",
       "1995-01-05   653.810   655.380   657.520   645.810   646.890  43012300.00   \n",
       "1995-01-06   646.890   642.750   643.890   636.330   640.760  48748200.00   \n",
       "1995-01-09   640.760   637.520   637.550   625.040   626.000  50985100.00   \n",
       "...              ...       ...       ...       ...       ...          ...   \n",
       "2024-09-24  2748.918  2770.754  2863.152  2761.372  2863.126   4776195.45   \n",
       "2024-09-25  2863.126  2901.419  2952.451  2889.048  2896.306   5682598.16   \n",
       "2024-09-26  2896.306  2893.745  3000.953  2889.014  3000.953   5763192.61   \n",
       "2024-09-27  3000.953  3049.103  3087.529  3017.445  3087.529   4922871.63   \n",
       "2024-09-30  3087.529  3194.722  3358.588  3153.697  3336.497  11023379.17   \n",
       "\n",
       "                   Money  Raw_return  \n",
       "Day                                   \n",
       "1995-01-03  1.806930e+08   -0.012333  \n",
       "1995-01-04  3.069230e+08    0.021770  \n",
       "1995-01-05  3.015330e+08   -0.010584  \n",
       "1995-01-06  3.537580e+08   -0.009476  \n",
       "1995-01-09  3.985190e+08   -0.023035  \n",
       "...                  ...         ...  \n",
       "2024-09-24  4.427953e+07    0.041547  \n",
       "2024-09-25  5.166981e+07    0.011589  \n",
       "2024-09-26  5.246691e+07    0.036131  \n",
       "2024-09-27  4.806126e+07    0.028850  \n",
       "2024-09-30  1.167773e+08    0.080637  \n",
       "\n",
       "[7223 rows x 8 columns]"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "data_new=data['1995-01':'2024-09'].copy()\n",
    "data_new['Close']=pd.to_numeric(data_new['Close'])\n",
    "data_new['Preclose']=pd.to_numeric(data_new['Preclose'])\n",
    "#计算000001上证指数日收益率 两种:\n",
    "data_new['Raw_return']=data_new['Close']/data_new['Preclose']-1\n",
    "data_new"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Raw_return</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Day</th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1995-01-31</th>\n",
       "      <td>-0.131631</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1995-02-28</th>\n",
       "      <td>-0.023694</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1995-03-31</th>\n",
       "      <td>0.177803</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1995-04-30</th>\n",
       "      <td>-0.103552</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1995-05-31</th>\n",
       "      <td>0.207922</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-05-31</th>\n",
       "      <td>-0.005801</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-06-30</th>\n",
       "      <td>-0.038684</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-07-31</th>\n",
       "      <td>-0.009656</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-08-31</th>\n",
       "      <td>-0.032849</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-30</th>\n",
       "      <td>0.173908</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>357 rows × 1 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "            Raw_return\n",
       "Day                   \n",
       "1995-01-31   -0.131631\n",
       "1995-02-28   -0.023694\n",
       "1995-03-31    0.177803\n",
       "1995-04-30   -0.103552\n",
       "1995-05-31    0.207922\n",
       "...                ...\n",
       "2024-05-31   -0.005801\n",
       "2024-06-30   -0.038684\n",
       "2024-07-31   -0.009656\n",
       "2024-08-31   -0.032849\n",
       "2024-09-30    0.173908\n",
       "\n",
       "[357 rows x 1 columns]"
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "Month_data=data_new.resample('ME')['Raw_return'].apply(lambda x:(1+x).prod()-1).to_frame()\n",
    "Month_data"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 导入通货膨胀 CPI"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
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       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>cpi</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>month</th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>1987-01-31</th>\n",
       "      <td>5.1</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1987-02-28</th>\n",
       "      <td>5.4</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1987-03-31</th>\n",
       "      <td>5.8</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1987-04-30</th>\n",
       "      <td>6.7</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1987-05-31</th>\n",
       "      <td>7.6</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-05-31</th>\n",
       "      <td>0.3</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-06-30</th>\n",
       "      <td>0.2</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-07-31</th>\n",
       "      <td>0.5</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-08-31</th>\n",
       "      <td>0.6</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-30</th>\n",
       "      <td>0.4</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>453 rows × 1 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "            cpi\n",
       "month          \n",
       "1987-01-31  5.1\n",
       "1987-02-28  5.4\n",
       "1987-03-31  5.8\n",
       "1987-04-30  6.7\n",
       "1987-05-31  7.6\n",
       "...         ...\n",
       "2024-05-31  0.3\n",
       "2024-06-30  0.2\n",
       "2024-07-31  0.5\n",
       "2024-08-31  0.6\n",
       "2024-09-30  0.4\n",
       "\n",
       "[453 rows x 1 columns]"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "inflation=pd.read_csv('datasets/inflation.csv')\n",
    "inflation['month']=pd.to_datetime(inflation['month'],format='%Y/%m/%d')\n",
    "inflation.set_index('month',inplace=True)\n",
    "inflation.sort_values(by=['month'],axis=0,ascending=True)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Inflation 图片"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {},
   "outputs": [
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    "fig, ax=plt.subplots(figsize=(12,6))\n",
    "ax.plot(inflation['cpi'],label='Inflation',color='blue',linewidth=1,linestyle='-',marker='o')\n",
    "ax.set_ylabel('Inflation')\n",
    "ax.legend(loc='upper left')\n",
    "plt.show();"
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  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [
    {
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       "      <th>Raw_return</th>\n",
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       "      <th>2000-01-31</th>\n",
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       "      <th>2024-09-30</th>\n",
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      "text/plain": [
       "            Raw_return  cpi\n",
       "2000-01-31    0.123242 -0.2\n",
       "2000-02-29    0.116990  0.7\n",
       "2000-03-31    0.049948 -0.2\n",
       "2000-04-30    0.020053 -0.3\n",
       "2000-05-31    0.031710  0.1\n",
       "...                ...  ...\n",
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     "execution_count": 12,
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   ],
   "source": [
    "reg_data=pd.merge(Month_data,inflation,left_index=True,right_index=True)\n",
    "reg_data=reg_data['2000':]\n",
    "reg_data"
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  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Inflation和Return一起作图"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
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      "text/plain": [
       "<Figure size 1500x600 with 2 Axes>"
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   ],
   "source": [
    "fig, ax1=plt.subplots(figsize=(15,6))\n",
    "\n",
    "\n",
    "ax1.plot(reg_data['Raw_return'],\n",
    "         label='Return',\n",
    "         color='red',\n",
    "         linewidth=1,\n",
    "         linestyle='-',\n",
    "         marker='o')\n",
    "ax1.set_ylabel('Return',color='red')\n",
    "\n",
    "\n",
    "data_format=mdates.DateFormatter('%Y')\n",
    "ax1.xaxis.set_major_formatter(data_format)\n",
    "ax1.xaxis.set_major_locator(mdates.YearLocator())\n",
    "plt.xticks(rotation=90)\n",
    "\n",
    "\n",
    "ax2=ax1.twinx()\n",
    "ax2.plot(reg_data['cpi'].shift(1),\n",
    "         label='inflation',\n",
    "         color='blue',\n",
    "         linewidth=1,\n",
    "         linestyle='-',\n",
    "         marker='o')\n",
    "ax2.set_ylabel('Inflation',color='blue')\n",
    "\n",
    "\n",
    "plt.title(\"China's Return and Inflation\")\n",
    "\n",
    "\n",
    "lines,labels=ax1.get_legend_handles_labels()\n",
    "lines2,labels2=ax2.get_legend_handles_labels()\n",
    "ax2.legend(lines+lines2,labels+labels2,loc='upper right')\n",
    "\n",
    "\n",
    "plt.show();"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 经济学假设\n",
    "\n",
    "$$\n",
    "R_t=\\alpha+\\beta*CPI_{t-1}+\\epsilon_t\n",
    "$$\n",
    "\n",
    "\n",
    "- 原假设 $ \\beta=0 $\n",
    "- 备择假设 $ \\beta\\neq 0 $\n",
    "  -$H_1$: $ \\beta > 0 $\n",
    "  -$H_2$: $ \\beta < 0 $\n"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 描述性统计"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "count    297.000\n",
       "mean       2.039\n",
       "std        1.924\n",
       "min       -1.800\n",
       "25%        0.900\n",
       "50%        1.800\n",
       "75%        2.800\n",
       "max        8.700\n",
       "Name: cpi, dtype: float64"
      ]
     },
     "execution_count": 13,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "reg_data['cpi'].describe().round(3)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "Raw_return   -0.046\n",
       "cpi           0.855\n",
       "dtype: float64"
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    },
    {
     "data": {
      "text/plain": [
       "Raw_return    1.873\n",
       "cpi           1.040\n",
       "dtype: float64"
      ]
     },
     "execution_count": 14,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "reg_data.skew().round(3)\n",
    "reg_data.kurt().round(3)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# OLS回归"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "                            OLS Regression Results                            \n",
      "==============================================================================\n",
      "Dep. Variable:             Raw_return   R-squared:                       0.035\n",
      "Model:                            OLS   Adj. R-squared:                  0.032\n",
      "Method:                 Least Squares   F-statistic:                     10.58\n",
      "Date:                Wed, 30 Oct 2024   Prob (F-statistic):            0.00128\n",
      "Time:                        10:50:35   Log-Likelihood:                 369.78\n",
      "No. Observations:                 295   AIC:                            -735.6\n",
      "Df Residuals:                     293   BIC:                            -728.2\n",
      "Df Model:                           1                                         \n",
      "Covariance Type:            nonrobust                                         \n",
      "==============================================================================\n",
      "                 coef    std err          t      P>|t|      [0.025      0.975]\n",
      "------------------------------------------------------------------------------\n",
      "Intercept      0.0187      0.006      3.178      0.002       0.007       0.030\n",
      "lcpi          -0.0068      0.002     -3.252      0.001      -0.011      -0.003\n",
      "==============================================================================\n",
      "Omnibus:                       15.344   Durbin-Watson:                   1.828\n",
      "Prob(Omnibus):                  0.000   Jarque-Bera (JB):               39.739\n",
      "Skew:                           0.056   Prob(JB):                     2.35e-09\n",
      "Kurtosis:                       4.795   Cond. No.                         4.40\n",
      "==============================================================================\n",
      "\n",
      "Notes:\n",
      "[1] Standard Errors assume that the covariance matrix of the errors is correctly specified.\n"
     ]
    }
   ],
   "source": [
    "reg_data['lcpi']=reg_data['cpi'].shift(2) #因为有滞后性 \n",
    "model_cpi=smf.ols('Raw_return ~ lcpi',data=reg_data).fit()#smf.ols代表一型线性回归\n",
    "print(model_cpi.summary())"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 模型\n",
    "$$\n",
    "R_t=0.0187-0.6828^{***}*CPI_{t-1}\n",
    "$$"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 模型拟合的收益率"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 19,
   "metadata": {},
   "outputs": [
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     "metadata": {},
     "output_type": "display_data"
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   ],
   "source": [
    "data_fit=reg_data.copy()\n",
    "data_fit['fitted_return']=model_cpi.fittedvalues\n",
    "\n",
    "\n",
    "fig, ax1=plt.subplots(figsize=(15,6))\n",
    "ax1.plot(reg_data['Raw_return'],\n",
    "         label='Return',\n",
    "         color='red',\n",
    "         linewidth=1,\n",
    "         linestyle='-',\n",
    "         marker='o')\n",
    "ax1.plot(data_fit['fitted_return'],\n",
    "         label='Fitted Return',\n",
    "         color='blue',\n",
    "         linewidth=1,\n",
    "         linestyle='-',\n",
    "         marker='o')\n",
    "\n",
    "\n",
    "ax1.set_ylabel('Return',color='red')\n",
    "data_format=mdates.DateFormatter('%Y')\n",
    "ax1.xaxis.set_major_formatter(data_format)\n",
    "ax1.xaxis.set_major_locator(mdates.YearLocator())\n",
    "\n",
    "\n",
    "plt.xticks(rotation=90)\n",
    "plt.title('Return and Fitted Return')\n",
    "plt.legend(loc='upper right')\n",
    "plt.show();\n"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 季度结果"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 20,
   "metadata": {},
   "outputs": [
    {
     "name": "stderr",
     "output_type": "stream",
     "text": [
      "C:\\Users\\18762\\AppData\\Local\\Temp\\ipykernel_2396\\270170314.py:1: FutureWarning: 'Q' is deprecated and will be removed in a future version, please use 'QE' instead.\n",
      "  Q_reg_data=reg_data.resample('Q').apply({\n"
     ]
    },
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       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Raw_return</th>\n",
       "      <th>cpi</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2000-03-31</th>\n",
       "      <td>0.317318</td>\n",
       "      <td>3.000000e-01</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-06-30</th>\n",
       "      <td>0.071041</td>\n",
       "      <td>3.000000e-01</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-09-30</th>\n",
       "      <td>-0.009310</td>\n",
       "      <td>8.000000e-01</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2000-12-31</th>\n",
       "      <td>0.085501</td>\n",
       "      <td>2.800000e+00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2001-03-31</th>\n",
       "      <td>0.018954</td>\n",
       "      <td>2.000000e+00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>...</th>\n",
       "      <td>...</td>\n",
       "      <td>...</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-09-30</th>\n",
       "      <td>-0.028603</td>\n",
       "      <td>-2.000000e-01</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2023-12-31</th>\n",
       "      <td>-0.043575</td>\n",
       "      <td>-1.000000e+00</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-03-31</th>\n",
       "      <td>0.022263</td>\n",
       "      <td>-8.326673e-17</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-06-30</th>\n",
       "      <td>-0.024255</td>\n",
       "      <td>8.000000e-01</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2024-09-30</th>\n",
       "      <td>0.124383</td>\n",
       "      <td>1.500000e+00</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "<p>99 rows × 2 columns</p>\n",
       "</div>"
      ],
      "text/plain": [
       "            Raw_return           cpi\n",
       "2000-03-31    0.317318  3.000000e-01\n",
       "2000-06-30    0.071041  3.000000e-01\n",
       "2000-09-30   -0.009310  8.000000e-01\n",
       "2000-12-31    0.085501  2.800000e+00\n",
       "2001-03-31    0.018954  2.000000e+00\n",
       "...                ...           ...\n",
       "2023-09-30   -0.028603 -2.000000e-01\n",
       "2023-12-31   -0.043575 -1.000000e+00\n",
       "2024-03-31    0.022263 -8.326673e-17\n",
       "2024-06-30   -0.024255  8.000000e-01\n",
       "2024-09-30    0.124383  1.500000e+00\n",
       "\n",
       "[99 rows x 2 columns]"
      ]
     },
     "execution_count": 20,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "Q_reg_data=reg_data.resample('Q').apply({\n",
    "    'Raw_return': lambda x: (1+x).prod()-1,\n",
    "    'cpi': lambda x: sum(x)\n",
    "})\n",
    "Q_reg_data"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 21,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "                            OLS Regression Results                            \n",
      "==============================================================================\n",
      "Dep. Variable:             Raw_return   R-squared:                       0.030\n",
      "Model:                            OLS   Adj. R-squared:                  0.020\n",
      "Method:                 Least Squares   F-statistic:                     2.925\n",
      "Date:                Wed, 30 Oct 2024   Prob (F-statistic):             0.0905\n",
      "Time:                        11:24:29   Log-Likelihood:                 54.186\n",
      "No. Observations:                  97   AIC:                            -104.4\n",
      "Df Residuals:                      95   BIC:                            -99.22\n",
      "Df Model:                           1                                         \n",
      "Covariance Type:            nonrobust                                         \n",
      "==============================================================================\n",
      "                 coef    std err          t      P>|t|      [0.025      0.975]\n",
      "------------------------------------------------------------------------------\n",
      "Intercept      0.0419      0.021      1.981      0.051   -9.53e-05       0.084\n",
      "lcpi          -0.4308      0.252     -1.710      0.090      -0.931       0.069\n",
      "==============================================================================\n",
      "Omnibus:                       19.411   Durbin-Watson:                   1.686\n",
      "Prob(Omnibus):                  0.000   Jarque-Bera (JB):               29.895\n",
      "Skew:                           0.878   Prob(JB):                     3.22e-07\n",
      "Kurtosis:                       5.076   Cond. No.                         17.8\n",
      "==============================================================================\n",
      "\n",
      "Notes:\n",
      "[1] Standard Errors assume that the covariance matrix of the errors is correctly specified.\n"
     ]
    }
   ],
   "source": [
    "Q_reg_data['lcpi']=Q_reg_data['cpi'].shift(2)/100\n",
    "model_cpi_q=smf.ols('Raw_return~lcpi',data=Q_reg_data).fit()\n",
    "print(model_cpi_q.summary())"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "$$\n",
    "R_t=0.0419-0.4308^{*}*CPI_{t-1}\n",
    "$$"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 季度的图"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 22,
   "metadata": {},
   "outputs": [
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       "     <!-- Inflation -->\n",
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       " <defs>\n",
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       "</svg>\n"
      ],
      "text/plain": [
       "<Figure size 1500x600 with 2 Axes>"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "fig=plt.figure(figsize=(15,6))\n",
    "ax1=fig.add_subplot(1,1,1)\n",
    "\n",
    "\n",
    "ax1.plot(Q_reg_data['Raw_return'],\n",
    "         label='Return',\n",
    "         color='red',\n",
    "         linewidth=1,\n",
    "         linestyle='-',\n",
    "         marker='o')\n",
    "ax1.set_ylabel('Return',color='red')\n",
    "ax2=ax1.twinx()\n",
    "ax2.plot(Q_reg_data['cpi'].shift(1),\n",
    "         label='Inflation',\n",
    "         color='blue',\n",
    "         linewidth=1,\n",
    "         linestyle='-',\n",
    "         marker='o')\n",
    "ax2.set_ylabel('Inflation',color='blue')\n",
    "plt.title('Return and Inflation')\n",
    "lines,labels=ax1.get_legend_handles_labels()\n",
    "lines2,labels2=ax2.get_legend_handles_labels()\n",
    "ax2.legend(lines+lines2,labels+labels2,loc='upper right')\n",
    "plt.show();"
   ]
  }
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